IHY Options History — October 2016

In October 2016, IHY traded between $24.22 and $24.67. ATM implied volatility averaged 10.3%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 5.5% (HV 20d: 4.8%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.32.

Notable Days

2016-10-21: Highest Volume — 169 contracts
2016-10-10: Largest IV spike — 501.8% change
2016-10-10: Highest IV Rank — 19.5%
2016-10-28: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.44	$24.22	$24.67	$24.60	$24.28
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	10.3%	6.6%	39.8%	8.2%	9.9%
Expected Move	2.4%	1.8%	3.0%	2.4%	2.8%
HV 20d	4.8%	3.8%	5.8%	5.8%	4.6%
HV 60d	5.0%	4.7%	5.2%	5.1%	4.8%
IV Rank	4.6%	2.8%	19.5%	3.6%	4.4%
IV Percentile	11.5%	2.0%	78.2%	2.8%	17.1%
Term Structure	-1.5%	-3.2%	0.3%	0.0%	-1.1%
VWIV	9.1%	6.5%	20.0%	10.1%	10.0%
Skew 25d	3.1%	1.4%	4.0%	3.6%	2.9%
Skew 10d	-36.3%	-158.6%	3.8%	1.4%	3.8%
Call IV 25d	6.0%	5.2%	8.4%	6.0%	6.7%
Put IV 25d	9.2%	8.0%	10.5%	9.6%	9.6%
Bid-Ask Spread %	160.36	142.90	177.79	151.98	163.57
Gamma HHI	0.62	0.23	0.86	0.55	0.86
Net GEX	3.1K	-20.2K	25.5K	10.8K	-20.2K
Net DEX	-93.7K	-208.8K	54.7K	-181.3K	54.7K
Net VEX	-279	-399	-185	-325	-228
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	1.15	1.77	1.15	1.60
Total Volume	133.286	130	169	131	130
Total OI	180.619	102	219	211	102

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-10-03	$24.60	$24.00	8.2%	2.4%	5.8%	3.6%	10.1%	3.6%	0.0%	10.8K	-181.3K	-325	1.15	151.98	61	70	120	91
2016-10-04	$24.65	$24.00	8.7%	2.5%	5.0%	3.8%	10.1%	3.6%	0.3%	9.0K	-189.0K	-310	1.15	166.03	61	70	120	91
2016-10-05	$24.67	$24.00	9.0%	2.6%	5.0%	4.0%	20.0%	4.0%	0.3%	8.7K	-172.4K	-339	1.15	157.96	61	70	120	91
2016-10-06	$24.61	$24.00	9.1%	1.9%	5.1%	4.0%	7.0%	1.4%	0.1%	14.4K	-178.8K	-327	1.15	152.23	61	70	120	91
2016-10-07	$24.58	$24.00	6.6%	1.8%	4.9%	2.8%	9.0%	3.1%	-0.5%	1.4K	-121.8K	-399	1.15	142.90	61	70	120	91
2016-10-10	$24.52	$24.00	39.8%	2.0%	5.0%	19.5%	10.1%	3.3%	-0.4%	217	-99.4K	-389	1.15	157.85	61	70	120	91
2016-10-11	$24.48	$24.00	11.7%	2.7%	4.4%	5.3%	9.6%	3.6%	-2.1%	12.9K	-177.2K	-285	1.15	144.12	61	70	120	91
2016-10-12	$24.48	$24.00	9.1%	2.6%	4.3%	4.0%	9.2%	3.5%	-1.8%	12.7K	-172.5K	-279	1.15	153.68	61	70	120	91
2016-10-13	$24.46	$24.00	9.3%	2.7%	4.3%	4.1%	9.4%	3.5%	-2.4%	5.4K	-120.0K	-328	1.15	151.71	61	70	120	91
2016-10-14	$24.44	$24.00	9.4%	2.7%	3.8%	4.2%	9.5%	3.6%	-2.4%	6.7K	-120.5K	-309	1.15	145.14	61	70	120	91
2016-10-17	$24.22	$24.00	9.5%	2.7%	5.0%	4.2%	9.6%	1.9%	0.1%	23.7K	-124.8K	-274	1.15	156.92	61	70	120	91
2016-10-18	$24.33	$24.00	9.0%	2.6%	5.3%	4.0%	9.1%	2.7%	-2.6%	11.5K	-122.8K	-227	1.15	158.70	61	70	120	91
2016-10-19	$24.37	$24.00	7.9%	2.3%	5.2%	3.4%	6.7%	2.9%	-2.6%	21.9K	-136.0K	-210	1.28	169.38	61	78	120	91
2016-10-20	$24.32	$24.00	8.1%	2.3%	4.6%	3.5%	6.5%	4.0%	-3.2%	25.5K	-141.5K	-231	1.28	169.38	61	78	120	99
2016-10-21	$24.37	$24.00	7.7%	2.2%	4.7%	3.3%	6.9%	3.8%	-1.8%	-1.8K	-208.8K	-185	1.77	168.91	61	108	120	99
2016-10-24	$24.37	$24.00	8.1%	2.3%	4.6%	3.5%	7.3%	2.9%	-1.6%	-9.9K	54.1K	-256	1.60	173.42	50	80	22	80
2016-10-25	$24.43	$24.00	8.1%	2.3%	4.7%	3.5%	6.9%	2.4%	-1.9%	-13.7K	48.7K	-231	1.60	167.22	50	80	22	80
2016-10-26	$24.40	$24.00	7.8%	2.3%	4.5%	3.4%	6.8%	3.7%	-2.1%	-19.1K	41.2K	-228	1.60	177.79	50	80	22	80
2016-10-27	$24.31	$24.00	8.8%	2.5%	4.6%	3.9%	7.3%	3.3%	-2.6%	-18.3K	50.7K	-243	1.60	175.98	50	80	22	80
2016-10-28	$24.35	$24.00	10.4%	3.0%	4.7%	4.7%	10.4%	2.1%	-3.0%	-17.6K	49.7K	-251	1.60	162.74	50	80	22	80
2016-10-31	$24.28	$24.00	9.9%	2.8%	4.6%	4.4%	10.0%	2.9%	-1.1%	-20.2K	54.7K	-228	1.60	163.57	50	80	22	80